TY  - UNPD
A1  - Wieland, Volker
A1  - Afanasyeva, Elena
A1  - Kuete, Meguy
A1  - Yoo, Jinhyuk
T1  - New methods for macro-financial model comparison and policy analysis
T2  - Working paper series / Institute for Monetary and Financial Stability ; 107
N2  - The global financial crisis and the ensuing criticism of macroeconomics have inspired researchers to explore new modeling approaches. There are many new models that deliver improved estimates of the transmission of macroeconomic policies and aim to better integrate the financial sector in business cycle analysis. Policy making institutions need to compare available models of policy transmission and evaluate the impact and interaction of policy instruments in order to design effective policy strategies. This paper reviews the literature on model comparison and presents a new approach for comparative analysis. Its computational implementation enables individual researchers to conduct systematic model comparisons and policy evaluations easily and at low cost. This approach also contributes to improving reproducibility of computational research in macroeconomic modeling. Several applications serve to illustrate the usefulness of model comparison and the new tools in the area of monetary and fiscal policy. They include an analysis of the impact of parameter shifts on the effects of fiscal policy, a comparison of monetary policy transmission across model generations and a cross-country comparison of the impact of changes in central bank rates in the United States and the euro area. Furthermore, the paper includes a large-scale comparison of the dynamics and policy implications of different macro-financial models. The models considered account for financial accelerator effects in investment financing, credit and house price booms and a role for bank capital. A final exercise illustrates how these models can be used to assess the benefits of leaning against credit growth in monetary policy.
T3  - Working paper series / Institute for Monetary and Financial Stability - 107 
KW  - model comparison
KW  - model uncertainty
KW  - monetary policy
KW  - fiscal policy
KW  - policy robustness
KW  - macro-financial models
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41711
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-417119
UR  - http://www.imfs-frankfurt.de/fileadmin/user_upload/IMFS_WP/IMFS_WP_107.pdf
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -